FRM真题的练习在FRM考试中重要吗？

发布时间：2021-03-25 09:12编辑：融跃教育FRM

备考FRM的考生应该清楚在考试中有大量的计算题，考生一定要多做练习，尤其中近几年的FRM真题。只有做的多了，才能在考试中不怯场。那么，FRM真题的练习在FRM考试中重要吗？》》》点击领取2021年FRM备考资料大礼包（戳我免费领取）

FRM真题的练习在考试中当然是很重要的，考生千万不能忽视。下面是例题的解析，随小编看看：

Let X be a random variable representing the daily loss of your portfolio. The“peaks over threshold” (POT) approach considers a threshold value, u, of X and the distribution of excess losses over this threshold. Which of the following statements about this application of extreme value theory is correct?

A) To apply the POT approach, the distribution of X must be elliptical and known.

B) If X is normally distributed, the distribution of excess losses requires the estimation of only one parameter, β, which is a positive scale parameter.

C) To apply the POT approach, one must choose a threshold, u, which is high enough that the number of observations in excess of u is zero.

D) As the threshold, u, increases, the distribution of excess losses over u converges to a generalized Pareto distribution.

答案：D【资料下载】[融跃财经]FRM一级ya题-pdf版

解析：The distribution of excess losses over u converges to a generalized Pareto distribution as the threshold value u increases. The distribution of X itself can be any of the commonly used distributions: normal, lognormal, t, etc., and will usually be unknown.

The distribution of excess losses requires the estimation of two parameters, a positive scale parameterβand a shape or tail index parameterξ. One must choose a threshold u that is high enough so that the theory applies but also low enough so that there are observations in excess of u.

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